Michele Tumminello

University of Palermo

Viale delle Scienza

Palermo, Palermo 90128

Italy

Carnegie Mellon University - Department of Social and Decision Sciences

postdoctoral fellow

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

16

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CITATIONS
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Top 28,900

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8

Scholarly Papers (16)

1.

Correlation, Hierarchies, and Networks in Financial Markets

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 38 Posted: 29 May 2010
Michele Tumminello, Fabrizio Lillo and Rosario N. Mantegna
University of Palermo, Scuola Normale Superiore and University of Palermo
Downloads 269 (82,641)
Citation 2

Abstract:

Multivariate Analysis, Hierarchical Clustering, Correlation Based Networks, Bootstrap Validation, Factor Models, Kullback-Leibler Distance

2.

Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence

Number of pages: 20 Posted: 02 Dec 2011
City University London - Department of Economics, University of Palermo, City University London - Department of Economics and University of Palermo
Downloads 246 (75,603)

Abstract:

Correlation estimation, Pearson estimator, Fourier estimator, Hayashi-Yoshida estimator, Kullback-Leibler divergence

3.

How News Affect the Trading Behavior of Different Categories of Investors in a Financial Market

Number of pages: 30 Posted: 16 Jul 2012
Scuola Normale Superiore, University of Palermo - Department of Physics and Chemistry, University of Palermo, University of Turku and University of Palermo
Downloads 145 (154,846)

Abstract:

Firm-specific news, News sentiment, Trading, Single investors

4.

When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators

Number of pages: 30 Posted: 27 Apr 2010
University of Bari, University of Palermo, Scuola Normale Superiore and University of Palermo
Downloads 136 (163,639)
Citation 1

Abstract:

portfolio optimization, covariance matrix estimator

5.

Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Number of pages: 25 Posted: 20 Jul 2011 Last Revised: 25 Jul 2011
University of Palermo, Scuola Normale Superiore, University of Turku and University of Palermo
Downloads 103 (150,827)
Citation 1

Abstract:

Financial markets, Institutional and individual investors, Households finance, Complex systems, Networks

6.

Designing and Pricing Guarantee Options in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Vol. 65, pp. 267–279, November 2015, ,
Number of pages: 30 Posted: 12 Feb 2015 Last Revised: 11 Dec 2015
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Downloads 95 (176,219)

Abstract:

Pensions, minimum guarantee, defined benefits, defined contributions, embedded options, risk sharing, portfolio selection, stochastic programming

7.

Quantifying Preferential Trading in the e-MID Interbank Market

Number of pages: 25 Posted: 25 Oct 2013 Last Revised: 05 Nov 2013
City University London - Department of Economics, City University London - Department of Economics, University of Palermo, University of Palermo - Department of Physics and Chemistry and University of Palermo
Downloads 72 (233,886)

Abstract:

Interbank markets, interbank rates, preferential links, statistically validated networks

8.

Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs

Number of pages: 21 Posted: 01 Aug 2011
East China University of Science and Technology (ECUST), University of Palermo, East China University of Science and Technology - School of Business and University of Palermo
Downloads 70 (253,141)
Citation 2

Abstract:

financial markets, globalization, correlation-based networks

9.

Statistically Validated Networks in Bipartite Complex Systems

Number of pages: 34 Posted: 03 Oct 2010 Last Revised: 30 Oct 2013
University of Palermo, University of Palermo - Department of Physics and Chemistry, Scuola Normale Superiore, University of Turku and University of Palermo
Downloads 69 (266,965)
Citation 2

Abstract:

Networks, Complex Systems

10.

Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships

Number of pages: 17 Posted: 03 Jan 2014
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 52 (286,476)

Abstract:

Multivariate Analysis, Correlation Based Networks, Bootstrap Validation, Lagged Correlations

11.

How Lead-Lag Correlations Affect the Intraday Pattern of Collective Stock Dynamics

Office of Financial Research Working Paper No. 15-15
Number of pages: 28 Posted: 22 Aug 2015
Boston University, University of Palermo, University of Palermo, Boston University - Center for Polymer Studies and Financial Industry Regulatory Authority (FINRA)
Downloads 48 (177,242)

Abstract:

Financial markets, Correlation analysis, Complex systems, Lagged correlations

12.

The Phenomenology of Specialization of Criminal Suspects

Number of pages: 22 Posted: 17 Aug 2012
University of Palermo, affiliation not provided to SSRN, Stockholm University - Department of Sociology, University of Palermo and affiliation not provided to SSRN
Downloads 44 (324,912)

Abstract:

complex systems, social systems, crime, networks

13.

Quantitative Analysis of Gender Stereotypes and Information Aggregation in a National Election

Number of pages: 9 Posted: 11 Nov 2012
University of Palermo, University of Palermo - Department of Physics and Chemistry, University of Turku, University of Turku and University of Palermo
Downloads 37 (365,810)

Abstract:

candidate gender, information aggregation in voting, quantitative analysis of political profile

14.

Networked Relationships in the e-MID Interbank Market: A Trading Model with Memory

Number of pages: 37 Posted: 14 Mar 2014
City University London - Department of Economics, University of Palermo, University of Palermo, University of Palermo - Department of Physics and Chemistry, City University London and University of Palermo
Downloads 30 (362,266)

Abstract:

15.

Pricing Sovereign Contingent Convertible Debt

The Wharton Financial Institutions Center WP 16-05
Number of pages: 30 Posted: 25 Jul 2016
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Downloads 0 (275,284)

Abstract:

contingent bonds, sovereign debt, debt restructuring, state-contingent pricing, regime switching, credit default swaps

16.

Structure and Evolution of a European Parliament via a Network and Correlation Analysis

Number of pages: 15 Posted: 13 Feb 2016
Elena Puccio, Antti Pajala, Jyrki Piilo and Michele Tumminello
University of Palermo, University of Turku, University of Turku and University of Palermo
Downloads 0 (404,527)

Abstract: